Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0007
Annualized Std Dev 0.0533
Annualized Sharpe (Rf=0%) 0.0139

Row

Daily Return Statistics

Close
Observations 2910.0000
NAs 1.0000
Minimum -0.1214
Quartile 1 -0.0002
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0002
Maximum 0.1119
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0034
Skewness -3.0445
Kurtosis 1024.4254

Downside Risk

Close
Semi Deviation 0.0024
Gain Deviation 0.0034
Loss Deviation 0.0042
Downside Deviation (MAR=210%) 0.0087
Downside Deviation (Rf=0%) 0.0024
Downside Deviation (0%) 0.0024
Maximum Drawdown 0.1214
Historical VaR (95%) -0.0008
Historical ES (95%) -0.0030
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2008-12-04 2008-12-04 NA -0.1214 2789 1 NA
2008-11-21 2008-12-02 2008-12-03 -0.0339 5 4 1
2008-06-27 2008-09-18 2008-11-17 -0.0094 66 36 30
2008-03-26 2008-04-25 2008-05-14 -0.0062 29 18 11
2008-02-22 2008-02-22 2008-02-27 -0.0018 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA 0 0 0 0.1 0 0 0 0.1 0.1 0 0.1 0.5
2009 0 0 0 0.1 0 0 0 0 0 0 0 0 0.1
2010 0 -0.1 0 0 0 0.2 0 0.1 0 0 0.1 0 0.3
2011 0 -0.1 0.1 0 0.1 0 0 0 -0.1 0.1 0.1 0 0.3
2012 0.1 0 0 0 -0.1 0 0 0 0 -0.1 0.1 0 0.1
2013 -0.1 -0.1 -0.1 -0.1 0 -0.2 -0.1 0 -0.2 -0.1 0 0 -0.9
2014 0 0 0 -0.1 0 -0.1 0 0 0 0 -0.1 -0.1 -0.4
2015 0 0.1 0 -0.1 -0.1 -0.1 0 0 -0.1 0 -0.1 0 -0.4
2016 0 -0.1 -0.1 0 -0.1 0 -0.1 -0.1 0 -0.1 -0.1 0 -0.8
2017 -0.1 -0.1 0.1 -0.1 -0.1 0 -0.1 -0.1 0 0 0 0.1 -0.4
2018 0 0 0 0 0 0 0.1 0 0 0 0 0 0.1
2019 0 0 0 0 0 0 0 0 0 0 0 0 0.2
2020 0 0 0.1 0 0 0 0 0 0 0 0 0 0.2
2021 0 0 0 NA NA NA NA NA NA NA NA NA 0

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-02-12  50.1 SPY    135.  0.00930   0.0064  -0.0368  -0.0699  -0.059     0.131    0.607 GLD    89.3 -0.0219   0.0188
2 2008-02-22  50.0 SPY    136.  0.0062    0.0033   0.0131  -0.0624  -0.0703    0.126    0.608 GLD    93.4  0.0015   0.041 
3 2008-02-27  50.1 SPY    138. -0.001     0.0169   0.022   -0.0194  -0.0092    0.150    0.636 GLD    94.8  0.0114   0.0165
4 2008-02-28  50.1 SPY    137. -0.0098    0.0154   0.0071  -0.04    -0.0288    0.127    0.644 GLD    96.0  0.0128   0.0294
5 2008-03-26  50.0 SPY    133. -0.0122   -0.0032  -0.0301  -0.101   -0.0698    0.138    0.536 GLD    93.8  0.0115  -0.028 
6 2008-03-27  50.1 SPY    133. -0.0032    0.0189  -0.0403  -0.110   -0.0706    0.134    0.517 GLD    93.5 -0.0036   0.0045
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart